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BT FILL CONDITIONS a FILL LOG SURROUNDING TRADES

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This commit is contained in:
David Brazda
2023-04-22 21:02:07 +02:00
parent a49b9c831e
commit 8eb4a3f045
11 changed files with 164 additions and 87 deletions
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v2realbot/backtesting/__pycache__/backtester.cpython-310.pyc
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v2realbot/backtesting/backtester.py
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@ -43,9 +43,10 @@ from v2realbot.common.model import TradeUpdate, Order
#from rich import print
import threading
import asyncio
from v2realbot.config import BT_DELAYS, DATA_DIR
from v2realbot.config import BT_DELAYS, DATA_DIR, FILL_CONDITION_BUY_LIMIT, FILL_CONDITION_SELL_LIMIT, FILL_LOG_SURROUNDING_TRADES, FILL_CONS_TRADES_REQUIRED
from v2realbot.utils.utils import AttributeDict, ltp, zoneNY, trunc, count_decimals,print
from v2realbot.utils.tlog import tlog
from v2realbot.enums.enums import FillCondition
from datetime import datetime, timedelta
import pandas as pd
#import matplotlib.pyplot as plt
@ -192,7 +193,8 @@ class Backtester:
#TEST zkusime to nemazat, jak ovlivni performance
#Mazeme, jinak je to hruza
del self.btdata[0:index_end-2]
#nechavame na konci trady, které muzeme potrebovat pro consekutivni pravidlo
del self.btdata[0:index_end-2-FILL_CONS_TRADES_REQUIRED]
#ic("after delete",len(self.btdata[0:index_end]))
if changes: return 1
@ -217,29 +219,63 @@ class Backtester:
if o.order_type == OrderType.LIMIT:
if o.side == OrderSide.BUY:
for i in work_range:
for index, i in enumerate(work_range):
#print(i)
##najde prvni nejvetsi čas vetsi nez minfill a majici odpovídající cenu
## pro LIMITku nejspíš přidat BT_DELAY.LIMIT_OFFSET, aby se nevyplnilo hned jako prvni s touto cenou
## offest by se pocital od nize nalezeneho casu, zvetsil by ho o LIMIT_OFFSET a zjistil, zda by
##v novem case doslo take k plneni a tam ho vyplnil. Uvidime az jestli bude aktualni prilis optimisticke.
## TBD zjistit na LIVE jaky je tento offset
if float(i[0]) > float(order_min_fill_time+BT_DELAYS.limit_order_offset) and i[1] <= o.limit_price:
#TODO pridat pokud je EXECUTION_DEBUG zalogování okolnich tradu (5 z kazde strany) od toho, který triggeroval plnění
#TODO pridat jako dalsi nastavovaci atribut pocet tradu po ktere musi byt cena zde (aby to nevyplnil knot high)
#NASTVENI PODMINEK PLNENI
fast_fill_condition = i[1] <= o.limit_price
slow_fill_condition = i[1] < o.limit_price
if FILL_CONDITION_BUY_LIMIT == FillCondition.FAST:
fill_condition = fast_fill_condition
elif FILL_CONDITION_BUY_LIMIT == FillCondition.SLOW:
fill_condition = slow_fill_condition
else:
print("unknow fill condition")
return -1
if float(i[0]) > float(order_min_fill_time+BT_DELAYS.limit_order_offset) and fill_condition:
#(1679081919.381649, 27.88)
ic(i)
fill_time = i[0]
fill_price = i[1]
print("FILL LIMIT BUY at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "at",i[1])
if FILL_LOG_SURROUNDING_TRADES != 0:
#TODO loguru
print("FILL SURR TRADES: before",work_range[index-FILL_LOG_SURROUNDING_TRADES:index])
print("FILL SURR TRADES: after",work_range[index+1:index+FILL_LOG_SURROUNDING_TRADES+1])
break
else:
for i in work_range:
for index, i in enumerate(work_range):
#print(i)
if float(i[0]) > float(order_min_fill_time+BT_DELAYS.limit_order_offset) and i[1] >= o.limit_price:
#NASTVENI PODMINEK PLNENI
fast_fill_condition = i[1] >= o.limit_price
slow_fill_condition = i[1] > o.limit_price
if FILL_CONDITION_SELL_LIMIT == FillCondition.FAST:
fill_condition = fast_fill_condition
elif FILL_CONDITION_SELL_LIMIT == FillCondition.SLOW:
fill_condition = slow_fill_condition
else:
print("unknown fill condition")
return -1
if float(i[0]) > float(order_min_fill_time+BT_DELAYS.limit_order_offset) and fill_condition:
#(1679081919.381649, 27.88)
ic(i)
fill_time = i[0]
fill_price = i[1]
print("FILL LIMIT SELL at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "at",i[1])
if FILL_LOG_SURROUNDING_TRADES != 0:
#TODO loguru
print("FILL SELL SURR TRADES: before",work_range[index-FILL_LOG_SURROUNDING_TRADES:index])
print("FILL SELL SURR TRADES: after",work_range[index+1:index+FILL_LOG_SURROUNDING_TRADES+1])
break
elif o.order_type == OrderType.MARKET:
@ -410,9 +446,9 @@ class Backtester:
reserved = 0
#with lock:
for o in self.open_orders:
if o.qty == OrderSide.SELL and o.symbol == symbol:
if o.side == OrderSide.SELL and o.symbol == symbol and o.canceled_at is None:
reserved += o.qty
#print("blokovano v open orders pro sell: ", reserved)
print("blokovano v open orders pro sell: ", reserved)
if int(self.account[symbol][0]) - reserved - int(size) < 0:
print("not enough shares having",self.account[symbol][0],"reserved",reserved,"available",int(self.account[symbol][0]) - reserved,"selling",size)
@ -423,10 +459,10 @@ class Backtester:
reserved = 0
#with lock:
for o in self.open_orders:
if o.qty == OrderSide.BUY:
if o.side == OrderSide.BUY and o.canceled_at is None:
cena = o.limit_price if o.limit_price else self.get_last_price(time, o.symbol)
reserved += o.qty * cena
#print("blokovano v open orders: ", reserved)
print("blokovano v open orders: ", reserved)
cena = price if price else self.get_last_price(time, self.symbol)
if (self.cash - reserved - float(int(size)*float(cena))) < 0:
@ -441,6 +477,7 @@ class Backtester:
status = OrderStatus.ACCEPTED,
side=side,
qty=int(size),
filled_qty=0,
limit_price=(float(price) if price else None))
self.open_orders.append(order)